Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property.
Giovanni B. Di MasiLukasz StettnerPublished in: SIAM J. Control. Optim. (2007)
Keyphrases
- markov processes
- optimal control
- risk sensitive
- infinite horizon
- markov process
- markov chain
- dynamic programming
- markov decision processes
- finite horizon
- control strategy
- average cost
- random fields
- non stationary
- stochastic processes
- continuous time markov chains
- control policies
- optimal policy
- partially observable
- long run
- reinforcement learning
- finite state
- policy iteration
- markov model
- markov decision process
- stochastic process
- total cost
- utility function
- random walk